beyondWhittle

swMATH31734CRANbeyondWhittleMaRDI QIDQ43445

Bayesian Spectral Inference for Time Series

Claudia Kirch, Yifu Tang, Matthew C. Edwards, Renate Meyer, Alexander Meier

Last update: 31 May 2023

Copyright license: GNU General Public License

Software version identifier: 1.1.3, 0.17, 0.18.1, 1.0, 1.1.1, 1.1.2, 1.1, 1.2.0

Source code repository: https://github.com/cran/beyondWhittle

Description

Implementations of Bayesian parametric, nonparametric and semiparametric procedures for univariate and multivariate time series. The package is based on the methods presented in C. Kirch et al (2018) <doi:10.1214/18-BA1126>, A. Meier (2018) <https://opendata.uni-halle.de//handle/1981185920/13470> and Y. Tang et al (2023) <arXiv:2303.11561>. It was supported by DFG grants KI 1443/3-1 and KI 1443/3-2.

Cites work

• Beyond Whittle: Nonparametric Correction of a Parametric Likelihood with a Focus on Bayesian Time Series Analysis
• Bayesian nonparametric spectral analysis of locally stationary processes

Described by source

• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis

Related Items (7)

Bayesian spectral density estimation using P-splines with quantile-based knot placement ⋮ Bayesian nonparametric modelling of the link function in the single-index model using a Bernstein–Dirichlet process prior ⋮ Bayesian Spectral Modeling for Multiple Time Series ⋮ Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach ⋮ Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain ⋮ Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series ⋮ Bayesian nonparametric spectral density estimation using B-spline priors

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